scientific article

Publication date: 1 January 2002

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter, Variance estimation for integrated population models, On the Kalman filter with possibly degenerate and correlated errors, A dynamic linear model with extended skew-normal for the initial distribution of the state parameter, Long memory with stochastic variance model: a recursive analysis for US inflation, When long memory meets the Kalman filter: a comparative study, A review on recent advances and applications of h-likelihood method, The multi-state latent factor intensity model for credit rating transitions, Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes, The macroeconomy and the yield curve: a dynamic latent factor approach, Restricted Kalman filtering revisited, Fractionally differenced Gegenbauer processes with long memory: a review, Cointegration analysis with state space models, A full dynamic compound inverse method for output-only element-level system identification and input estimation from earthquake response signals, Unobserved component models applied to the assessment of wear in railway points: a case study, Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data, Control theory forecasts of optimal training dosage to facilitate children's arithmetic learning in a digital educational application, A new filtering inference procedure for a GED state-space volatility model, Dilemmas of robust analysis of economic data streams, The generalized Cauchy family of distributions with applications, State space modeling of Gegenbauer processes with long memory, On conditional covariance modelling: an approach using state space models, Sequential Bayesian inference for static parameters in dynamic state space models, A constrained state space approach for estimating firm efficiency, The marginal likelihood of dynamic mixture models, Estimation of the monthly unemployment rate for six domains through structural time series modelling with cointegrated trends, Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling, Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling, Random-effect models with singular precision, Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data, Particle efficient importance sampling, Statistical inference for dynamical systems: a review, Bayesian prior elicitation in DSGE models: macro- vs micropriors, Regime switching state-space models applied to psychological processes: handling missing data and making inferences, A hierarchical state space approach to affective dynamics, Feature matching in time series modeling, When are adaptive expectations rational? A generalization, Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA, Fast state-space methods for inferring dendritic synaptic connectivity, The ARMA alphabet soup: a tour of ARMA model variants, Gaussian copula marginal regression, Iterated filtering, Local linear estimation for spatial random processes with stochastic trend and stationary noise, Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models, Stochastic volatility with leverage: fast and efficient likelihood inference, Simulation smoothing for state-space models: a computational efficiency analysis, Size change, shape change, and the growth space of a community, Online prediction of Berlin single-family house prices, Forecasting time series with multiple seasonal patterns, Bayesian inference in nonparametric dynamic state-space models, Dynamic factor analysis for short panels: estimating performance trajectories for water utilities, Computing observation weights for signal extraction and filtering, Markov-switching state space models for uncovering musical interpretation, Feasible parameter regions for alternative discrete state space models, Recursive estimation in econometrics, New algorithms for dating the business cycle, Unobserved component models with asymmetric conditional variances, An iterated parametric approach to nonstationary signal extraction, Decomposition of time series models in state-space form, Bayesian analysis of the stochastic conditional duration model, Multivariate discount weighted regression and local level models, The inflation aversion of the Bundesbank: A state space approach, Efficient Bayesian estimation of multivariate state space models, Modeling data revisions: measurement error and dynamics of ``true values, Decomposition of neurological multivariate time series by state space modelling, Exact formulas for the Hodrick-Prescott filter, Multi-site integrated population modelling, Bayesian inference for animal space use and other movement metrics, Note on optimization of individual psychotherapeutic processes, Maximum likelihood estimation for dynamic factor models with missing data, Wavelet-Variance-Based Estimation for Composite Stochastic Processes, Intervention analysis with state-space models to estimate discontinuities due to a survey redesign, Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching, Estimating the term structure of mortality, Further investigation into restricted Kalman filtering, Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm, A flexible approach to parametric inference in nonlinear and time varying time series models, Modeling frailty-correlated defaults using many macroeconomic covariates, Forecasting daily time series using periodic unobserved components time series models, Pairwise likelihood inference for ordinal categorical time series, Time series analysis via mechanistic models, Signal extraction and filtering by linear semiparametric methods, A Bayesian analysis of moving average processes with time-varying parameters, Faster ARMA maximum likelihood estimation, Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models, Parameterisation and efficient MCMC estimation of non-Gaussian state space models, Regression models for binary time series with gaps, Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling, Spectral estimation of a structural thin-plate smoothing model, A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure, Bayesian nonparametric dynamic state space modeling with circular latent states, Information content of high-order associations of the human gut microbiota network, Revised convexity, normality and stability properties of the dynamical feedback fuzzy state space model (FFSSM) of insulin-glucose regulatory system in humans, Estimation of trend in state-space models: asymptotic mean square error and rate of convergence, On classical and Bayesian asymptotics in state space stochastic differential equations, The dimension-wise quadrature estimation of dynamic latent variable models for count data, The state of econometrics after John W. Pratt, Robert Schlaifer, Brian Skyrms, and Robert L. Basmann, Nowcasting with large Bayesian vector autoregressions, Nonlinear time series analysis since 1990: Some personal reflections, Nonparametric phase-II monitoring for detecting monotone trend based on inverse sampling, Improving timeliness and accuracy of estimates from the UK labour force survey, State space Markov switching models using wavelets, Resolving the ambiguity of random‐effects models with singular precision matrix, Two‐dimensional P‐spline smoothing for spatial analysis of plant breeding trials, Estimating aggregated nutrient fluxes in four Finnish rivers via Gaussian state space models, Integrated population models: achieving their potential, The long-term impact of the COVID-19 unemployment shock on life expectancy and mortality rates, Monetary policy and the term structure of inflation expectations with information frictions, Control charts for measurement error models, High‐dimensional sparse multivariate stochastic volatility models, Variational Bayes in State Space Models: Inferential and Predictive Accuracy, Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities, Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices, Feedback quality adjustment with Bayesian state‐space models, Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints, Improving GDP measurement: a measurement-error perspective, Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates, Editorial: Special issue on time series in the environmental sciences, A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models, The Co-Integrated Vector Autoregression with Errors–in–Variables, Extropy of order statistics applied to testing symmetry, Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers, Modelling phase shifts among stochastic cycles, Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints, Trend–Cycle Decompositions with Correlated Components, Quantiles, expectiles and splines, Stochastic model specification search for Gaussian and partial non-Gaussian state space models, A new nonlinear formulation for GARCH models, Bootstrap LR tests of stationarity, common trends and cointegration, The analysis of age-specific fertility patterns via logistic models, A pairs trading strategy based on linear state space models and the Kalman filter, Small Area Estimation with Correctly Specified Linking Models, The vector innovations structural time series framework, A Survey of Sequential Monte Carlo Methods for Economics and Finance, A Review of Some Modern Approaches to the Problem of Trend Extraction, State Space Models and MIDAS Regressions, Automatic SARIMA modeling and forecast accuracy, Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading, Reference Priors for Matrix-Variate Dynamic Linear Models, On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity, Learning dynamical systems from data: a simple cross-validation perspective. III: Irregularly-sampled time series, State space models for time series with patches of unusual observations, Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm, Testing for co-nonlinearity, Stationary state space models for longitudinal data, Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Continuous‐time modelling of irregularly spaced panel data using a cubic spline model, Some applications of nonlinear and non-Gaussian state–space modelling by means of hidden Markov models, An algorithm for the exact Fisher information matrix of vector ARMAX time series, Generalized adaptive expectations revisited, Efficient learning via simulation: a marginalized resample-move approach, Modeling US housing prices by spatial dynamic structural equation models, A SARIMAX coupled modelling applied to individual load curves intraday forecasting, Kalman filter-based modelling and forecasting of stochastic volatility with threshold, Exact maximum likelihood estimation for non-stationary periodic time series models, Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach, Stochastic Filtering Methods in Electronic Trading, Nonlinear regime-switching state-space (RSSS) models, Capital adequacy and risk management in banking industry, On idiosyncratic stochasticity of financial leverage effects, Hyper-spherical and elliptical stochastic cycles, Bootstrap Prediction in Unobserved Component Models, Statistical challenges in microrheology, A state space model approach for HIV infection dynamics, Locally Adaptive Bayes Nonparametric Regression via Nested Gaussian Processes, A NON‐GAUSSIAN FAMILY OF STATE‐SPACE MODELS WITH EXACT MARGINAL LIKELIHOOD, Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra, Distributional Kalman filters for Bayesian forecasting and closed form recurrences, Bayesian estimation of semiparametric nonlinear dynamic factor analysis models using the Dirichlet process prior, New proposals for the quantification of qualitative survey data, Multivariate stochastic volatility with Bayesian dynamic linear models, Extending the State-Space Model to Accommodate Missing Values in Responses and Covariates, Convergence of Discount Time Series Dynamic Linear Models, The estimation of a state space model by estimating functions with an application, Smoothing sample extremes with dynamic models, Nonstationary dynamic factor analysis, State-space model for proxy-based millennial reconstruction, An investigation of tests for linearity and the accuracy of likelihood based inference using random fields, News, volatility and jumps: the case of natural gas futures, Optical Imaging, State space models on special manifolds, Latent Variable Modelling: A Survey*, Estimation of Plant Demographic Parameters from Stage-Structured Censuses, A new production function estimate of the euro area output gap, The local quadratic trend model, Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area, Filtering and smoothing of state vector for diffuse state-space models, Pairwise Likelihood Inference for General State Space Models, Repeated surveys and the Kalman filter, Inference for the Hyperparameters of Structural Models Under Classical and Bayesian Perspectives: A Comparison Study, Transformations and seasonal adjustment, Bootstrap prediction intervals in state-space models, The application of the Kalman filter to nonstationary time series through time deformation, Confidence Intervals for the Hyperparameters in Structural Models, MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION, Kernel-based estimation of individual location densities from smartphone data, Bayesian Inference for ARFIMA Models, Real-time covariance estimation for the local level model, THE CARMA INTEREST RATE MODEL, A nonparametric method for asymmetrically extending signal extraction filters, Posterior mean and variance approximation for regression and time series problems, Simulation-Based Bias Correction Methods for Complex Models, BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS, ADMISSIBLE CLUSTERING OF AGGREGATOR COMPONENTS: A NECESSARY AND SUFFICIENT STOCHASTIC SEMINONPARAMETRIC TEST FOR WEAK SEPARABILITY, Unnamed Item, Unnamed Item, Likelihood functions for state space models with diffuse initial conditions, Improved prediction limits for a general class of Gaussian models, Time Series Modelling of Daily Tax Revenues, The Weibull–Dagum distribution: Properties and applications, IS THE IMPACT OF LABOR TAXES ON UNEMPLOYMENT ASYMMETRIC?, Empirical performance of reduced-form models for emission permit prices, Temporal disaggregation by state space methods: Dynamic regression methods revisited, Estimation of vector error correction models with mixed-frequency data, Charactering neural spiking activity evoked by acupuncture through state-space model, The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models, A Note on the Canonical Structure of Multivariate Dynamic Linear Models, Diffuse Restricted Kalman Filtering, An extension of the Whittaker–Henderson method of graduation, Automatic detection and identification of shocks in Gaussian state-space models: a Bayesian approach, Mixed effect models for absolute log returns of ultra high frequency data